An introduction to modern portfolio theory by West G.

By West G.

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Investment Management Research. Goldman, Sachs and Company . Hull, J. (2002), Options, Futures, and Other Derivatives, fifth edn, Prentice Hall. Idzorek, T. (2002), ‘A step-by-step guide to the Black-Litterman model’. Morgan and Reuters, New York. , ed. (2003), Modern Investment Management: an equilibrium approach, Wiley. Quantitative Resources Group Goldman Sachs Asset Management. Markowitz, H. (1952), ‘Portfolio selection’, Journal of Finance 7(1), 77–91. Roll, R. & Ross, S. A. (Fall 1983), ‘The merits of the arbitrage pricing theory for portfolio management’, Institute for Quantitative Research in Finance pp.

The scalar τ is more or less inversely proportional to the relative weight given to the implied equilibrium returns. The only issues outstanding are the parameter τ and the calibration factor c. These problems are in fact related, and the literature is not clear about resolving this problem. 8) where again K is the risk aversion parameter (and again K can be eliminated if desired). If all views are relative views then only the stocks which are part of those views will have their weights affected.

Quantitative Resources Group Goldman Sachs Asset Management. Markowitz, H. (1952), ‘Portfolio selection’, Journal of Finance 7(1), 77–91. Roll, R. & Ross, S. A. (Fall 1983), ‘The merits of the arbitrage pricing theory for portfolio management’, Institute for Quantitative Research in Finance pp. 14–15. Ross, S. A. (1976), ‘The arbitrage theory of capital asset pricing’, Journal of Economic Theory 13, 341–360. Sharpe, W. F. (1964), ‘Capital asset prices - a theory of market equilibrium under conditions of risk’, Journal of Finance pp.

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